It's a device intended to prove that a given language cannot be of a certain class.
Let's consider the language of balanced parentheses (meaning symbols '(' and ')', and including all strings that are balanced in the usual meaning, and none that aren't). We can use the pumping lemma to show this isn't regular.
(A language is a set of possible strings. A parser is some sort of mechanism we can use to see if a string is in the language, so it has to be able to tell the difference between a string in the language or a string outside the language. A language is "regular" (or "context-free" or "context-sensitive" or whatever) if there is a regular (or whatever) parser that can recognize it, distinguishing between strings in the language and strings not in the language.)
LFSR Consulting has provided a good description. We can draw a parser for a regular language as a finite collection of boxes and arrows, with the arrows representing characters and the boxes connecting them (acting as "states"). (If it's more complicated than that, it isn't a regular language.) If we can get a string longer than the number of boxes, it means we went through one box more than once. That means we had a loop, and we can go through the loop as many times as we want.
Therefore, for a regular language, if we can create an arbitrarily long string, we can divide it into xyz, where x is the characters we need to get to the start of the loop, y is the actual loop, and z is whatever we need to make the string valid after the loop. The important thing is that the total lengths of x and y are limited. After all, if the length is greater than the number of boxes, we've obviously gone through another box while doing this, and so there's a loop.
So, in our balanced language, we can start by writing any number of left parentheses. In particular, for any given parser, we can write more left parens than there are boxes, and so the parser can't tell how many left parens there are. Therefore, x is some amount of left parens, and this is fixed. y is also some number of left parens, and this can increase indefinitely. We can say that z is some number of right parens.
This means that we might have a string of 43 left parens and 43 right parens recognized by our parser, but the parser can't tell that from a string of 44 left parens and 43 right parens, which isn't in our language, so the parser can't parse our language.
Since any possible regular parser has a fixed number of boxes, we can always write more left parens than that, and by the pumping lemma we can then add more left parens in a way that the parser can't tell. Therefore, the balanced parenthesis language can't be parsed by a regular parser, and therefore isn't a regular expression.